Limit theorems for multipower variation in the presence of jumps

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Manylion Llyfryddiaeth
Prif Awduron:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Fformat:	Working paper
Iaith:	English
Cyhoeddwyd:	2005
Pynciau:	Economics

Eitemau Tebyg

Limit theorems for multipower variation in the presence of jumps
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Limit theorems for multipower variation in the presence of jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)

Limit theorems for multipower variation in the presence of jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Limit theorems for multipower variation in the presence of jumps
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Multipower Variation and Stochastic Volatility.
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Limit theorems for bipower variations in financial econometrics
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Cyhoeddwyd: (2006)

Power and bipower variation with stochastic volatility and jumps
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Cyhoeddwyd: (2004)

Econometrics of testing for jumps in financial economics using bipower variation
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Cyhoeddwyd: (2005)

Limit theorems for bipower variations in financial econometrics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)

Limit Theorems for Bipower Variation in Financial Econometrics.
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Cyhoeddwyd: (2006)

Limit theorems for bipower variations in financial econometrics.
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
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Cyhoeddwyd: (2012)

Efficient and feasible inference for the components of financial variation using blocked multipower variation.
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Cyhoeddwyd: (2012)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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Cyhoeddwyd: (2005)

Power and bipower variation with stochastic volatility and jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
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Cyhoeddwyd: (2003)

Variation, jumps, market frictions and high frequency data in financial econometrics.
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Variation, jumps, market frictions and high frequency data in financial econometrics
gan: Shephard, N, et al.
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Power variation and time change
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A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
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Realised power variation and stochastic volatility models
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Cyhoeddwyd: (2003)

Estimating quadratic variation using realized variance
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Power variation and stochastic volatility: a review and some new results
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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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Cyhoeddwyd: (2001)

Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
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Normal Modified Stable Processes.
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Cyhoeddwyd: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
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Integrated OU processes and non-Gaussian OU-based stochastic volatility models
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Cyhoeddwyd: (2003)

Some recent developments in stochastic volatility modelling
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Cyhoeddwyd: (2002)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2007)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

Power variation and time change
gan: Shephard, N, et al.
Cyhoeddwyd: (2006)

Power Variation and Time Change.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Estimating quadratic variation using realised volatility.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Higher order variation and stochastic volatility models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)